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Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.; Russell, Jeffrey R. - 1995 - [Rev.]
Persistent link: https://www.econbiz.de/10000929636
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Estimating diffusion models of stochastic volatility
Engle, Robert F.; Lee, Gary G. J. - 1995
Persistent link: https://www.econbiz.de/10000930719
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000939559
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Common seasonal features : global unemployment
Engle, Robert F.; Hylleberg, Svend - 1996
Persistent link: https://www.econbiz.de/10000952121
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Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.; Lange, Joe - 1997
Persistent link: https://www.econbiz.de/10000996023
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Macroeconomic announcements and volatility of treasury futures
Li, Li; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000997634
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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 3, pp. 525-542
Persistent link: https://www.econbiz.de/10001085314
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A capital asset pricing model with time-varying covariances
Bollerslev, Tim - In: Journal of political economy 96 (1988) 1, pp. 116-131
Persistent link: https://www.econbiz.de/10001056221
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Transportation costs and the rent gradient
Coulson, N. Edward - In: Journal of urban economics 21 (1987) 3, pp. 287-297
Persistent link: https://www.econbiz.de/10001059292
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000970980